[2] During her stint at Saturday Night Live, Wiig received four nominations for the Primetime Emmy Award for Outstanding Supporting Actress in a Comedy Series.

After leaving Saturday Night Live, Wiig appeared in the films The Secret Life of Walter Mitty (2013), The Skeleton Twins (2014), The Diary of a Teenage Girl (2015), The Martian (2015), Ghostbusters (2016), Downsizing (2017), Mother!

[18] In 2003, she appeared in Spike TV's The Joe Schmo Show, a spoof of reality television, in which she portrayed Dr. Pat, a quack marriage counselor.

Wiig made her film debut in the 2006 Christmas movie Unaccompanied Minors, and appeared in Judd Apatow's 2007 comedy Knocked Up as a passive-aggressive assistant.

Wiig co-starred in Greg Mottola's 2009 coming-of-age dramedy Adventureland, voiced a beaver mom in the animated adventure film Ice Age: Dawn of the Dinosaurs, played a roller derby competitor in Whip It (Drew Barrymore's directorial debut) and appeared as the wife of a flavoring-extracts company owner in Mike Judge's Extract.

The New York Times wrote: "A lanky-limbed blonde who evokes Meg Ryan stretched along Olive Oyl lines, Ms. Wiig keeps her features jumping and sometimes bunching.

She's a funny, pretty woman, but she's also a comedian, and she's wonderfully confident about playing not nice ... Ms. Wiig, a longtime cast member of Saturday Night Live, and Ms. Mumolo, a veteran of the Los Angeles comedy troupe the Groundlings, know what female moviegoers want: honest laughs with, and not solely about, women".

Her last 2011 film was the romantic comedy Friends with Kids, where she played one half of a sex-obsessed couple, opposite Bridemaids collaborator Maya Rudolph.

In the comedy Girl Most Likely, she headlined opposite Annette Bening as a playwright who stages a suicide in an attempt to win back her ex, only to wind up in the custody of her gambling-addict mother.

Rotten Tomatoes gave it a 20% rating based on 85 reviews, with the site's consensus: "Largely witless and disappointingly dull, Girl Most Likely strands the gifted Kristen Wiig in a blandly hollow foray into scattershot sitcom territory.

[34] Wiig again provided her voice for Despicable Me 2, released on June 5, 2013, and for the character of Sexy Kitten in the critically acclaimed sci-fi romantic drama Her (2013).

She portrayed the love interest and co-worker of the titular character in the adventure dramedy The Secret Life of Walter Mitty (also 2013), alongside Ben Stiller and Sean Penn; it polarized critics and was a moderate success.

The New York Daily News praised Stiller and Wiig's "sweet, mellow chemistry",[35] and Peter Travers of Rolling Stone found her to be "lovely, low-key" in the film, which he described as "uniquely funny and unexpectedly tender".

The Skeleton Twins was an arthouse success,[40] with the Globe and Mail remarking: "Johnson's unfussy direction serves as a fine showcase for the two SNL veterans to demonstrate how their comic shorthand plays equally well in a slightly darker register".

[41] For singer-songwriter Sia's performance of her 2014 single "Chandelier" at the 2015 Grammy Awards, Wiig danced alongside child dancer Maddie Ziegler.

"[43] In her next film, another dramedy titled The Diary of a Teenage Girl, Wiig starred as a woman whose boyfriend starts a sexual relationship with her daughter.

[45] In the comedy Zoolander 2 (2016), Wiig took on the role of a villain and the "Queen of Haute Couture", alongside Ben Stiller, Owen Wilson, and Will Ferrell.

[54] Wiig and Annie Mumolo co-wrote and co-starred in the 2021 comedy Barb and Star Go to Vista Del Mar, which received positive reviews.